StockSharp.Strategies.0242_Volatility_Mean_Reversion.py 5.0.1

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dotnet add package StockSharp.Strategies.0242_Volatility_Mean_Reversion.py --version 5.0.1

NuGet\Install-Package StockSharp.Strategies.0242_Volatility_Mean_Reversion.py -Version 5.0.1

This command is intended to be used within the Package Manager Console in Visual Studio, as it uses the NuGet module's version of Install-Package.

<PackageReference Include="StockSharp.Strategies.0242_Volatility_Mean_Reversion.py" Version="5.0.1" />

For projects that support PackageReference, copy this XML node into the project file to reference the package.

<PackageVersion Include="StockSharp.Strategies.0242_Volatility_Mean_Reversion.py" Version="5.0.1" />
                    

                            Directory.Packages.props

<PackageReference Include="StockSharp.Strategies.0242_Volatility_Mean_Reversion.py" />
                    

                            Project file

For projects that support Central Package Management (CPM), copy this XML node into the solution Directory.Packages.props file to version the package.

paket add StockSharp.Strategies.0242_Volatility_Mean_Reversion.py --version 5.0.1

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#r "nuget: StockSharp.Strategies.0242_Volatility_Mean_Reversion.py, 5.0.1"

#r directive can be used in F# Interactive and Polyglot Notebooks. Copy this into the interactive tool or source code of the script to reference the package.

#:package StockSharp.Strategies.0242_Volatility_Mean_Reversion.py@5.0.1

#:package directive can be used in C# file-based apps starting in .NET 10 preview 4. Copy this into a .cs file before any lines of code to reference the package.

#addin nuget:?package=StockSharp.Strategies.0242_Volatility_Mean_Reversion.py&version=5.0.1
                    

                            Install as a Cake Addin

#tool nuget:?package=StockSharp.Strategies.0242_Volatility_Mean_Reversion.py&version=5.0.1
                    

                            Install as a Cake Tool

The NuGet Team does not provide support for this client. Please contact its maintainers for support.

Volatility Mean Reversion Strategy (Python Version)

This approach trades around fluctuations in market volatility. When the ATR deviates markedly from its moving average, it suggests volatility has become unusually high or low and may revert.

Testing indicates an average annual return of about 73%. It performs best in the crypto market.

The strategy goes long when ATR drops below the average minus DeviationMultiplier times the standard deviation and price is below the moving average. It shorts when ATR exceeds the upper band and price is above the average. Positions exit once ATR returns toward its mean level.

Such setups work for traders who like to fade volatility extremes rather than price direction. A protective stop-loss is used in case volatility keeps expanding.

Details

Entry Criteria:
- Long: ATR < Avg - DeviationMultiplier * StdDev && Close < MA
- Short: ATR > Avg + DeviationMultiplier * StdDev && Close > MA
Long/Short: Both sides.
Exit Criteria:
- Long: Exit when ATR > Avg
- Short: Exit when ATR < Avg
Stops: Yes, percent stop-loss.
Default Values:
- AtrPeriod = 14
- AveragePeriod = 20
- DeviationMultiplier = 2m
- CandleType = TimeSpan.FromMinutes(5)
Filters:
- Category: Mean Reversion
- Direction: Both
- Indicators: ATR
- Stops: Yes
- Complexity: Intermediate
- Timeframe: Intraday
- Seasonality: No
- Neural networks: No
- Divergence: No
- Risk Level: Medium

There are no supported framework assets in this package.

Learn more about Target Frameworks and .NET Standard.

This package has no dependencies.

NuGet packages

This package is not used by any NuGet packages.

GitHub repositories

This package is not used by any popular GitHub repositories.

Version	Downloads	Last Updated
5.0.1	228	8/7/2025
5.0.0	340	7/20/2025

Refactor strategy reset handling